TUGAS III

Analisis Statistik
Ronald Widjojo, 12110034
1. Prove that Var(aX + b) = a2 Var(X)
Perhatikan bahwa
Var(aX + b) = E[(aX + b)2 ] [E(aX + b)]2
!
X
=
(aX + b)2 f (x) E[(aX + b)]2
x

!
=

[(aX)2 + 2abX + b2 ]f (x)

[(aE(X))2 + b2 + 2abE(X)]

!
=

a2

X 2 f (x) + b2

x
2

f (x) + 2ab

x
2

Xf (x)

a2 E(X)2 b2 2abE(X)

x
2

= a E(X ) + b + 2abE(X) a E(X) b2 2abE(X)

= a2 [E(X 2 ) E(X)2 ]
= a2 Var(X)
2. Prove that xy = E(XY ) E(X)E(Y )
Cov(X, Y ) =
=
=
=
=

E[(X X )(Y Y )]
E[XY XY Y X + X Y ]
E[XY ] Y E[X] X E[Y ] + X Y
E[XY ] E[X]E[Y ] E[X]E[Y ] + E[X]E[Y ]
E[XY ] E[X]E[Y ]

3. For the exercise of the calculation of expectation and the variance, we have two variables
X and Y such that
E(X) = 1, E(X 2 ) = 3, E(Y ) = 2, E(Y 2 ) = 5, E(XY ) = 2
We consider Z = 2X 3Y + 5. Calculate Var(Z) and Cov(ZX).
First we have E(Z) = E(2X 3Y + 5) = 2E(X) 3E(Y ) + 5 = 2 6 + 5 = 1 and also
E(Z 2 ) =
=
=
=
=

E((2X 3Y + 5)2 ) = E((2X 3Y )2 + 10(2X 3Y ) + 25)

E(4X 2 12XY + 9Y 2 ) + 20E(X) 30E(Y ) + 25
4E(X 2 ) 12E(XY ) + 9E(Y 2 ) + 20 60 + 25
12 24 + 45 15
18

Then we conclude that Var(Z) = E(Z 2 ) [E(Z)]2 = 17

Next, we calculate
Cov(Z, X) =
=
=
=
=

E[XZ] E[X]E[Z]
E[2X 2 3XY + 5X] E[X]E[Z]
2E[X 2 ] 3E[XY ] + 5E[X] E[X]E[Z]
66+51
4

4. One plant has 2 input X, with X = 500 and X = 50 and Y with Y = 800 and Y = 70.
The capacity per day of the plant is Z with Z = 100. We know that X, Y, Z are normal
variable, independence.
a. If we know Z = 1500, calculate the probability it have stock!
b. Calculate Z for the probability have stock =2%!
Solusi. Consider new variable V = X + Y Z.
First, E(V ) = E(X) + E(Y ) E(Z) = 200. And also
Var(V ) =
=
=
=

V ar(X + Y Z)
V ar(X) + V ar(Y ) + V ar(Z) + 2Cov(X, Y ) + 2Cov(X, Z) + 2Cov(Y, Z)
2500 + 4900 + 10000 + 0 + 0 + 0 (since X, Y, Z are independent)
17400

So V = 132. We will calculate the probability that V > 0. Observe that

P (V > 0) = 1 P (V 0)


0 V
= 1P Z
V


0 (200)
= 1P Z
132
= 1 P (Z 1.515)
= 1 0.934
= 6.6%
Same with above, now we get that P (V > 0) = 2% so P (V 0) = 98%. We search in the
table and get that Z = 2.06. So we have that
0 V
= 2.06 V = 272 Z = X + Y V = 1572
132
So for having stock with 2% probability, we must have Z = 1572